What the heck is an uncollapsible collapsed layer?

Don't use "Scale to frame size" in Premiere Pro, it will create a hidden nested sequence of your clip, that's why if you copy paste that clip into Ae, it will be pasted as a composition. Instead of "Scale to frame size" just use "Set to frame size" which will scale down your clip using the usual scale property in the effect controls panel.

I never use "Scale to frame size" because it's a problematic command.

It looks like you have imported an entire sequence into After Effects. About 99% of the time, that is a very inefficient workflow. The only shots you should have in an AE composition are shots that you cannot create in your NLE. Several of the layers are being converted to Compositions. This happens when you start complicating the shots in a Premiere Pro sequence or using effects. The warning is telling you that you have done something in Premiere Pro that is not going to accurately be translated into a composition. This could be a lot of things. You'll have to scrub through the timeline and figure out which shot, if any, is fouled up. I am curious about your workflow and the necessity of importing all of those shots into one comp. 

Generally, you only want a shot in an AE comp. You do that because you need to do something to that shot that cannot be done in Premiere Pro. Almost all of my compositions are under 7 seconds and one shot. Just about the only time I have more than one shot in a composition is when an effect must transition between shots. Some of the movies I work on have visual effects on almost every shot. I still work on one shot at a time, and if they are complicated effects shots I render them using a production codec, usually 10-bit color, and replace the shots in the Premiere Pro sequence for editing. Rendering anything in After Effects is going to take longer and use more resources than rendering in Premiere Pro, but pre-rendering complex shots in After Effects and then using Premiere Pro to render the final deliverable product is always going to be faster than using Dynamic Link on a complex shot in Premiere Pro. I often have complicated composites that take more than a couple of minutes a frame to render using my background rendering system in AE that would take five or six times as long to render if I tried using Dynamic Link in Premiere Pro.

Let us know what you are trying to do and maybe we can help you streamline your production workflow.